Assume $V$ is a countable state space and $L:V^2 \to \mathbb R$ the infinitesimal generator of a continuous-time Markov chain $(X_t)_{t \ge 0}$ on the probability space $(\Omega, \mathcal{G}, \mathbb{P})$. Then we can define such random variables as first passage time, holding times, and jump times.
Given $\omega \in \Omega$, we define a sequence of random jump times $(\sigma_n)$ recursively as follows:
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First, let $\sigma_0 := 0$.
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Second, let $i := X_{\sigma_n} (\omega) \in V$ and $L(i) := – L(i,i)$ where $X_{\sigma_n} (\omega) := X_{\sigma_n (\omega)} (\omega)$. Then the time until transition out of state $i$ is $\sigma_{n+1} -\sigma_{n} \sim \operatorname{Exp}(L(i))$.
It's clear that the first passage time is a stopping time. I would like to ask if jump time is a stopping time too.
Best Answer
I convert @lan's comment as answer to close this question.